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Backtesting the Expected Shortfall [PDF]
, 2021 Backtesting of risk measure estimates is an integral part for an effective risk management. With the growing importance of the Expected Shortfall (ES) to potentially replace the Value at Risk (VaR) as a primary measure for market risk this also calls for
Spring, Konstantin
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Backtestability and the ridge backtest
Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Acerbi, Carlo, Székely, Balázs
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Value at looking back: Towards an empirical validation of the role of reflexivity in econo-historic backtesting: Economic market prediction corrections correlate with future market performance [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 The following article innovatively paints a novel picture of the mass psychological underpinnings of business cycles based on information flows in order to recommend how certain communication strategies could counterweight and alleviate information ...
Julia M. Puaschunder
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COMPARISON BETWEEN VALUE AT RISK AND ADJUSTED EXPECTED SHORTFALL: A NUMERICAL ANALYSIS
Barekeng, 2023 Loss risk is one of the variable that always appears in every kind of investment. On stock asset investments, the characteristics of the risk of loss is uncertain, this means that losses can occur at any time with a value that cannot be determined ...
Trimono Trimono, Di Asih Maruddani
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Dynamic modelling of extreme daily precipitation in Germany from 1951 to 2020
Meteorologische Zeitschrift, 2022 It is important to analyse long-term changes in heavy precipitation but current risk management requires more dynamic and reliable forecasting of changes in the right tail of precipitation distributions in shorter periods of time.
Joanna Czarnowska, Bogdan Bochenek
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Mathematics, 2020 The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC
Inés Jiménez +3 more
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic
Risks, 2021 Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation.
Danai Likitratcharoen +3 more
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A review of backtesting and backtesting procedures [PDF]
The Journal of Risk, 2005 This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and independence are defined and their relation to backtesting procedures is discussed.
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The Adjustment of VaR to the Empirical Distribution of Returns [PDF]
Theoretical and Applied Economics, 2006 Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level.
Radu Lupu
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